Apple does not warn against it and no exclusions in respect of mixing metals are stated in either the Limited Warranty or AppleCare+ terms.
If Apple warned against it, then the Milanese Loop would not be described by Apple as being compatible with all models, including those with aluminium cases - which it instead is:
This means that, according to Apple, the band both fits into and can be used with an aluminium watch case.
I'm afraid that no-one here can tell you what Apple would decide in respect of any given claim under warranty or AppleCare+, whether for band-related damage or anything else. You are not talking to Apple here - this is a user-based technical support community. It is also not allowed here to speculate.
The Limited Warranty covers defects in materials and workmanship. Terms are available via this link:
Legal - Hardware Warranties - Apple
In addition to extending the hardware coverage period (covering any issues that may arise due to defects in materials or workmanship) and the telephone technical support period, AppleCare+, which may be available to buy in addition, also provides cover for up to two instances of accidental damage. For each case of accidental damage, a service fee / excess applies.
If AppleCare+ is available to purchase online for your Apple Watch, then it may be offered as an option when checking your service coverage here:
http://checkcoverage.apple.com/
Otherwise, to learn about any AppleCare+ policy or plan that may be available to buy in your country and the applicable time limit for purchasing it, follow this link, select your country and, on the next page, see the information within any section headed "Can I buy additional coverage for my Apple Watch?":
Apple - Support
Details for the US and UK, for example - including instructions at the bottom for buying AppleCare+ - are detailed here:
